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HPFilter
Author

Johannes Ludsteck
Organization: Institute for Employment Research (IAB)
Department: Department of Regional Economics
Revision date

2005-10-05
Description

HPFilter This Mathematica 5.0 Package performs nonparametric spline smoothing for time series (called the Hodrick-Prescott-Filter in the econometrics literature). In addition to other implementations, the optimum smoothing parameter of the model is computed for a stochastic formulation of the data generating process.

To support versions 5.1 and up, option Method -> {"NelderMead", "PostProcess" ->False} has been added to the package.
Subject

*Mathematics > Probability and Statistics
Keywords

Hodrick-Prescott-Filter, Kalman filtering, time-varying coefficients, time series, adaptive estimation
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HPFilter.m (5 KB) - Mathematica Package
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HPFilter.nb (145.2 KB) - Mathematica Notebook